USO Options History — November 2015

In November 2015, USO traded between $12.93 and $15.28. ATM implied volatility averaged 40.7%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 2.7% (HV 20d: 38.0%). Max pain ranged from $13.50 to $15.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.88.

Notable Days

2015-11-24: Highest Volume — 396,401 contracts
2015-11-13: Largest IV spike — 7.6% change
2015-11-27: Highest IV Rank — 49.3%
2015-11-27: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.66	$12.93	$15.28	$14.73	$12.93
Max Pain	$14.38	$13.50	$15.00	$14.50	$13.50
ATM IV	40.7%	36.3%	44.4%	38.7%	43.8%
Expected Move	11.8%	10.6%	13.2%	11.5%	13.2%
HV 20d	38.0%	33.6%	41.0%	39.7%	33.7%
HV 60d	45.6%	37.0%	48.8%	47.6%	37.0%
IV Rank	38.9%	27.0%	49.3%	33.9%	47.4%
IV Percentile	47.7%	32.5%	61.5%	40.5%	57.1%
Term Structure	-0.4%	-1.8%	1.1%	0.9%	-1.1%
VWIV	41.9%	37.3%	47.5%	40.7%	47.5%
Skew 25d	1.9%	0.4%	4.1%	3.5%	1.7%
Skew 10d	3.2%	0.5%	7.1%	5.9%	2.1%
Call IV 25d	40.6%	36.0%	45.6%	37.3%	43.6%
Put IV 25d	42.5%	37.6%	46.6%	40.8%	45.4%
Bid-Ask Spread %	8.29	3.01	18.12	6.54	7.87
Gamma HHI	0.12	0.09	0.20	0.11	0.20
Net GEX	-6.8M	-15.6M	6.4M	-7.4M	721.3K
Net DEX	592.6M	82.0M	910.2M	340.1M	553.0M
Net VEX	-4.5M	-5.7M	-3.9M	-5.5M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.51	1.53	1.25	0.97
Total Volume	192,934	77,053	396,401	92,583	118,625
Total OI	3,360,208.55	3,121,331	3,648,810	3,208,854	3,508,264

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-11-02	$14.73	$14.50	38.7%	11.5%	39.7%	33.9%	40.7%	3.5%	0.9%	-7.4M	340.1M	-5.5M	1.25	6.54	41,093	51,490	1,798,391	1,410,463
2015-11-03	$15.28	$14.50	38.1%	11.2%	38.0%	32.1%	40.0%	1.4%	-0.1%	1.8M	82.0M	-5.7M	1.53	7.01	128,825	196,776	1,810,208	1,425,840
2015-11-04	$14.86	$14.50	38.5%	10.9%	39.0%	33.4%	38.7%	0.9%	0.2%	1.4M	261.5M	-5.2M	1.00	10.74	70,865	70,901	1,833,489	1,365,918
2015-11-05	$14.49	$15.00	36.3%	10.7%	37.7%	27.0%	37.6%	1.7%	-0.1%	-8.1M	448.9M	-4.9M	0.65	9.05	105,655	69,043	1,851,921	1,377,408
2015-11-06	$14.23	$15.00	36.7%	10.8%	37.9%	28.3%	37.9%	2.0%	-0.6%	-12.4M	570.7M	-4.8M	1.09	8.48	55,935	60,840	1,883,388	1,391,494
2015-11-09	$14.08	$15.00	38.8%	11.2%	35.0%	34.1%	40.0%	2.5%	0.2%	-13.6M	584.5M	-4.6M	0.98	7.35	104,651	102,790	1,847,284	1,338,134
2015-11-10	$14.10	$15.00	37.0%	10.6%	34.7%	27.7%	37.3%	2.1%	-0.3%	-15.1M	576.4M	-4.5M	0.60	6.93	64,943	39,142	1,870,377	1,374,895
2015-11-11	$14.07	$15.00	37.6%	10.6%	34.6%	29.6%	39.0%	2.2%	-0.5%	-15.6M	590.4M	-4.6M	0.78	3.01	43,374	33,679	1,893,120	1,389,359
2015-11-12	$13.34	$15.00	39.9%	11.7%	38.7%	36.3%	40.8%	2.8%	1.1%	-15.6M	855.1M	-4.1M	0.57	7.96	143,473	82,398	1,952,517	1,398,656
2015-11-13	$13.05	$15.00	43.0%	12.4%	38.8%	45.1%	43.1%	4.1%	-0.0%	-14.6M	910.2M	-4.0M	0.84	4.91	159,516	134,693	1,992,650	1,392,205
2015-11-16	$13.39	$14.50	44.0%	12.6%	39.9%	48.1%	45.4%	2.3%	0.4%	-12.7M	719.4M	-4.3M	0.60	10.62	171,562	102,240	2,012,879	1,386,766
2015-11-17	$13.00	$14.50	43.4%	12.4%	40.8%	46.4%	44.4%	1.6%	-1.1%	-11.7M	864.9M	-4.0M	1.34	8.16	76,382	102,034	2,062,978	1,422,512
2015-11-18	$13.05	$14.50	40.4%	11.6%	40.7%	37.6%	40.6%	2.0%	-0.3%	-11.3M	850.5M	-4.0M	0.75	16.63	74,725	56,393	2,091,287	1,457,602
2015-11-19	$12.96	$14.50	40.3%	11.6%	40.5%	37.3%	40.7%	2.3%	-0.9%	-9.0M	903.9M	-3.9M	0.54	4.30	87,545	47,034	2,118,446	1,447,940
2015-11-20	$12.93	$13.50	42.0%	12.2%	40.3%	42.5%	42.2%	1.8%	-1.8%	-2.4M	879.9M	-3.9M	0.51	8.05	199,849	102,411	2,196,668	1,452,142
2015-11-23	$13.02	$13.50	42.5%	12.6%	40.2%	43.8%	44.0%	1.7%	-1.1%	1.2M	540.4M	-4.1M	0.59	5.50	105,183	62,269	1,971,580	1,149,751
2015-11-24	$13.32	$13.50	43.9%	12.8%	41.0%	47.8%	45.1%	0.4%	-0.8%	6.4M	386.9M	-4.5M	1.02	7.80	196,554	199,847	2,034,432	1,166,767
2015-11-25	$13.38	$13.50	44.4%	13.1%	33.6%	49.2%	46.8%	0.6%	-1.5%	5.5M	374.5M	-4.8M	0.73	18.12	150,535	109,830	2,152,394	1,329,318
2015-11-27	$13.03	$13.50	44.4%	13.2%	34.5%	49.3%	47.1%	0.5%	-1.1%	-3.2M	558.4M	-4.7M	1.35	6.79	57,624	77,956	2,231,906	1,412,822
2015-11-30	$12.93	$13.50	43.8%	13.2%	33.7%	47.4%	47.5%	1.7%	-1.1%	721.3K	553.0M	-4.5M	0.97	7.87	60,279	58,346	2,164,761	1,343,503